How can I use data from two companies to short/long on a third company (correlations) ?

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How can I use data from two companies to short/long on a third company (correlations) ?

Francesco Impari

edited Jun 18, 2017

Seeking Help Tools and Tips

Hi,
I'm new in this community
I hope not to bore you with a basic question, but here is my problem
I've selected few data corresponding to two companies (RAI and RTN)
Based on this data, I'd like to short/long on a third company (LMT)

How can I do that?

I've read a lot of articles and forums, but they always operate using data from that single company
Any suggestions?

5 responses

Maybe an if statement would work. If conditions are met for the first two stocks, buy or sell the third stock.

Francesco Impari

Hi Eric, thanks for helping

As you can see on the source code

My idea was similar

for security in long_secs:
if data.can_trade(security):

order_target_percent(symbol('BCR'), 1)

But I can follow this path when "security" has more than one stock inside
I'm unable to select which stock should be used to influence my short/longs operations

What's your opinion?

Maybe running the ordering code each time a security is returned is the problem. The ordering code could make one decision based on inputs from every stock returned by the screen.

Francesco Impari

Eric may I ask for an example?
just few lines to understand your idea

I changed it to order_target_percent(security, 1) and it produced the same result so don't think hardcoding the security is necessary there. That should work with multiple securities as input, and the target percentage could be changed to 1 divided by the number of securities returned as well.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.